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Filtering by: Creator Likuan Qin Type Work Resource type Dissertation Subject Industrial Engineering and Management Sciences

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1. The Recovery Theorem and Long-Term Factorization of the Pricing Kernel

Description:: Ross (2015) proposed a recovery theorem which uses prices of contingent claims to recover market’s expectations about underlying asset returns. His work relies on two assumptions. He assumes all uncertainty of the economy follows a finite state irreducible Markov chain and that the pricing kernel is transition independent. We first...
Keyword:: Industrial Engineering and Management Sciences
Subject:: Industrial Engineering and Management Sciences
Creator:: Likuan Qin
Owner:: Scholarly Digital Publishing
Date Uploaded:: 04/13/2018
Date Modified:: 04/13/2018
Date Created:: 2017-01-01
Resource Type:: Dissertation